With the advice of some friends, I included an Ethereal into my list I brought to NOVA. He's a recent addition, so take what I have to say with an once of salt. I've played only 6 games with an Aun in my Cadre but so far he's proved his worth. The re-roll is very important when you're facing armies that have long range fire to knock out drones from your squads, causing morale checks. The re-roll can also be used on passed checks, so if you're being shot before an assault, you can use the re-roll to fail and fall back out of assault range and then use the re-roll next turn to help you re-group. It's a poor man's combat tactics.
The Ethereal also gives you a certain amount of protection against tank shock, which can really destroy a Tau force if done right.
The main concern is losing your Ethereal and having your entire army take morale checks or run off the board. When considering this, it's important to look at the Ethereal in the context of your army and it's forces. In my case, I have a squad of 10 Fire Warriors that the Ethereal joins. This provides him with 10 ablative fearless wounds.
The Ethereal tends not to attract fire. He's such a small model and there are other larger threats in your army that an opponent is not going to waste fire trying to kill 10 Fire Warriors and then the Ethereal. It's actually a bonus for me if fire is wasted shooting the Ethereal. I can always go-to-ground if shooting gets rough.
My Ethereal has only be shot at once in those 6 games, and only died once when I was getting tabled by Daemons anyway and he was the last one to go.
Barrages are a concern but one what to mitigate this is setting your Ethereal and his squad right along the table edge in a long line. Any barrages will likely scatter and your proximity to the table edge translates to a high possibility for the shot to scatter off the board and miss completely.
Behind Enemy Lines and the like abilities should be a concern as well. However, the solution is simple. Drop some drones off your Piranhas and Devilfish and use them to block the table edges and create a bubble wrap around your firebase. This is something you should be doing regardless of having an Ethereal or not.
I believe the Ethereal's been written off as a horrible waste of 50 points and an HQ slot because he's been looked at in isolation. That's not to say he's a must have but in my recent Tau Cadre, he's been very helpful at keeping the Shas'la on the board. He must be used with caution but can be a real asset in an infantry-based Tau army with multiple small units.